Nominal exchange rates and monetary fundamentals
Nominal exchange rates and monetary fundamentals
复制标题
名义汇率和货币基本面
DOI：
10.1016/s0022-1996(00)00052-0
复制
发表时间：
2001
影响因子：
3.3
通讯作者：
Donggyu Sul
中科院分区：
文献类型：
--
作者：
Nelson C. Mark;Donggyu Sul
我们研究了 1973.1 至 1997.1 年间 19 个国家的季度面板中名义汇率与货币基本面之间的长期关系。我们的分析集中在两个问题上。首先，我们测试汇率是否与经济理论预测的长期决定因素协整。这些结果总体上支持协整假设。第二个问题是重新审视货币基本面预测未来汇率回报的能力。面板回归估计和基于面板的预测证实了这种预测能力是显着的。
We study the long-run relationship between nominal exchange rates and monetary fundamentals in a quarterly panel of 19 countries extending from 1973.1 to 1997.1. Our analysis is centered on two issues. First, we test whether exchange rates are cointegrated with long-run determinants predicted by economic theory. These results generally support the hypothesis of cointegration. The second issue is to re-examine the ability for monetary fundamentals to forecast future exchange rate returns. Panel regression estimates and panel-based forecasts confirm that this forecasting power is significant.